Monte Carlo simulation and finance
| Основен автор: | McLeish, Don L. |
|---|---|
| Автор-организации: | ebrary, Inc. |
| Формат: | Електронен |
| Език: | English |
| Публикувано: |
Hoboken, NJ :
J. Wiley,
2005.
|
| Серия: |
Wiley finance series.
|
| Предмети: | |
| Онлайн достъп: |
An electronic book accessible through the World Wide Web; click to view |
Съдържание:
- Some basic theory of finance
- Basic Monte Carlo methods
- Variance reduction techniques
- Simulating the value of options
- Quasi-Monte Carlo multiple integration
- Estimation and calibration
- Sensitivity analysis, estimating derivatives and the Greeks
- Other methods and conclusions.